Suppose that the $3$ month and $6$ month continuously compounded term SOFR rates are $1\mathrm{.}00\%$ and $2\mathrm{.}00\%$ respectively.$$

What is the forward SOFR rate for the period between $3$ months and $6$ months on an annually compounded basis?

Question $21$Answer

a$.$

$3\mathrm{.}0255\%$

b$.$

$3\mathrm{.}0455\%$

c$.$

$3\mathrm{.}0355\%$

d$.$

$3\mathrm{.}0155\%$

e$.$

$3\mathrm{.}0555\%$